The matchups that I have found difficult so far are mainly fast and extremely light/slippery characters. Namely: Falcon, Luigi and Samus (probably Squirtle too, but I haven't fought any great Squirtles.) Luigi is the easiest of the three, but as discussed, he can be very frustrating due to it being difficult to follow anything up on him. Samus similarly, but she has so many other tools and projectiles that make for a tough fight. I might share some deeper thoughts about some of these characters later!
On the discussion of Mario:
I find Mario as a character difficult to deal with no matter who I play, but the only particular detriments I see for Diddy versus Mario are Mario's incredible d-throw game and his edge guarding, as mentioned. If you recover low it isn't much of an issue, and recovering super high is also an option, though I try not to do it often. So, it really doesn't feel much different that facing someone like Ike at the ledge to me, just that Mario has a safer time going off stage to get you. If Mario ever gets a grab on me, at low% he seems to always get at least an up smash into re-grab, into another up smash or just about anything else. You don't want to get caught in your shield against Mario at all, really. I find the matchup very volatile for that reason.
He's got a great wavedash to pick up yer bananas, but his low speed doesn't really make it much of an option like with other characters such as Falcon. It's also very easy to pull bananas against a Mario once you have space for that reason, I feel. It can also be a little tricky to combo him due to his weight, but, for example, once you get a feel for the %'s he can act before hitting the ground after d-throw, you can read and punish accordingly instead of going for a tech chase. The weight definitely works in your favour at high %; it's very nice that up-throw seems to kill at ~130 on most stages. On all light characters I generally try to fish for a banana -> up throw as an easy finisher at higher percents.
The fireball approaches were something that I struggled with initially (and was convinced that it was a poor match for Diddy), but you just have to learn not to give Mario any respect when he's coming at you with those, heh. Generally what I try to do is wait at a mid-range from Mario, and if he goes for a full-hop approaching fireball, you get a free nair or side-b kick. With a banana, you can either do the latter to some success (he ends up above you, so you get some stage control) or glide toss your banana into the fireball and shield as he comes in from the air, getting you a grab. Otherwise, hey, he's in the air! Do what you want to him! Shooting a bunch of aerial peanuts also makes it more difficult for Mario to come in with those, as he's pressured in the vicinity that he wants to jump to throw the fireball. If he's hanging back with the fireballs, generally I try to make sure I have two bananas out, then continuously glide-toss them and shooting peanuts when you have the chance and Mario can't really keep up with the barrage (this works pretty well against most projectile-heavy characters for me, and seems to be a good practice in principle.) Jabbing fireballs is a bit hard with Diddy, but when one falls into position for it, it seems to be a pretty good option. If all else fails, you can always try for a powershield!
Edge guarding the guy feels pretty good, but it's pretty hard to gimp Mario with anybody haha. I find cartwheels pretty effective on Mario off-stage since he has to come back fairly slowly and low with cape, but if he goes real low and uses down-b, you can actually beat it with a banana <3.